Annals of Actuarial Science最新文献

{"title":"Generalized Poisson random variable: its distributional properties and actuarial applications","authors":"Pouya Faroughi, Shu Li, Jiandong Ren","doi":"10.1017/s1748499524000198","DOIUrl":"https://doi.org/10.1017/s1748499524000198","url":null,"abstract":"Generalized Poisson (GP) distribution was introduced in Consul &amp; Jain ((1973). <jats:italic>Technometrics</jats:italic>, 15(4), 791–799.). Since then it has found various applications in actuarial science and other areas. In this paper, we focus on the distributional properties of GP and its related distributions. In particular, we study the distributional properties of distributions in the <jats:inline-formula> <jats:alternatives> <jats:inline-graphic xmlns:xlink=\"http://www.w3.org/1999/xlink\" mime-subtype=\"png\" xlink:href=\"S1748499524000198_inline1.png\"/> <jats:tex-math> $mathcal{H}$ </jats:tex-math> </jats:alternatives> </jats:inline-formula> family, which includes GP and generalized negative binomial distributions as special cases. We demonstrate that the moment and size-biased transformations of distributions within the <jats:inline-formula> <jats:alternatives> <jats:inline-graphic xmlns:xlink=\"http://www.w3.org/1999/xlink\" mime-subtype=\"png\" xlink:href=\"S1748499524000198_inline2.png\"/> <jats:tex-math> $mathcal{H}$ </jats:tex-math> </jats:alternatives> </jats:inline-formula> family remain in the same family, which significantly extends the results presented in Ambagaspitiya &amp; Balakrishnan ((1994). <jats:italic>ASTINBulletin: the Journal of the IAA</jats:italic>, 24(2), 255–263.) and Ambagaspitiya ((1995). <jats:italic>Insurance Mathematics and Economics</jats:italic>, 2(16), 107–127.). Such findings enable us to provide recursive formulas for evaluating risk measures, such as Value-at-Risk and conditional tail expectation of the compound GP distributions. In addition, we show that the risk measures can be calculated by making use of transform methods, such as fast Fourier transform. In fact, the transformation method showed a remarkable time advantage over the recursive method. We numerically compare the risk measures of the compound sums when the primary distributions are Poisson and GP. The results illustrate the model risk for the loss frequency distribution.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2024-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142250381","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Optimizing insurance risk assessment: a regression model based on a risk-loaded approach","authors":"Zinoviy Landsman, Tomer Shushi","doi":"10.1017/s1748499524000162","DOIUrl":"https://doi.org/10.1017/s1748499524000162","url":null,"abstract":"Risk measurement and econometrics are the two pillars of actuarial science. Unlike econometrics, risk measurement allows taking into account decision-makers’ risk aversion when analyzing the risks. We propose a hybrid model that captures decision-makers’ regression-based approach to study risks, focusing on explanatory variables while paying attention to risk severity. Our model considers different loss functions that quantify the severity of the losses that are provided by the risk manager or the actuary. We present an explicit formula for the regression estimators for the proposed risk-based regression problem and study the proposed results. Finally, we provide a numerical study of the results using data from the insurance industry.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2024-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141195948","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"On the benefits of pension plan consolidation: Understanding the impact of full plan mergers","authors":"Jean‐François Bégin, Barbara Sanders, Wenyuan Zhou","doi":"10.1017/s1748499524000150","DOIUrl":"https://doi.org/10.1017/s1748499524000150","url":null,"abstract":"\u0000 This study investigates the benefits and drawbacks of pension plan consolidation by quantifying the impact of mergers of heterogeneous plans on different stakeholders in a unique Canadian implementation of defined benefit plans. Using a comprehensive framework that combines a realistic economic scenario generator, a stochastic mortality model that captures differences among subpopulations, a cost model with economies of scale, and a dynamic asset allocation methodology, we evaluate the combined effect of asset- and liability-side changes on three groups of measures: plan-related risk measures assessing profits from an economic capital perspective, consumption-based metrics to understand the impact on members, and contribution risk measures capturing the risk from the employer’s viewpoint. We apply the framework to a hypothetical and empirically relevant merger and find that consolidation is favorable under most circumstances: the positive impacts of better diversification and economies of scale continue to outweigh the negative effects of heterogeneity even when the merging plans have different mortality expectations, different maturity levels, or modest differences in initial funded ratios.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2024-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141118078","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"AffineMortality: An R package for estimation, analysis, and projection of affine mortality models","authors":"F. Ungolo, Len Patrick Dominic M. Garces, M. Sherris, Yuxin Zhou","doi":"10.1017/s1748499524000149","DOIUrl":"https://doi.org/10.1017/s1748499524000149","url":null,"abstract":"\u0000 This paper presents the AffineMortality R package which performs parameter estimation, goodness-of-fit analysis, simulation, and projection of future mortality rates for a set of affine mortality models for use in pricing and reserving. The computational routines build on the univariate Kalman Filtering approach of Koopman and Durbin ((2000). Journal of Time Series Analysis,21(3), 281–296.) along other numerical methods to enhance the robustness of the results. This paper provides a discussion of how the package works in order to effectively estimate and project survival curves, and describes the available functions. Illustration of the package for mortality analysis of the US male data set is provided.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2024-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141117495","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Bonus-Malus Scale premiums for Tweedie’s compound Poisson models","authors":"Jean-Philippe Boucher, Raïssa Coulibaly","doi":"10.1017/s1748499524000113","DOIUrl":"https://doi.org/10.1017/s1748499524000113","url":null,"abstract":"Based on the recent papers, two distributions for the total claims amount (loss cost) are considered: compound Poisson-gamma and Tweedie. Each is used as an underlying distribution in the Bonus-Malus Scale (BMS) model. The BMS model links the premium of an insurance contract to a function of the insurance experience of the related policy. In other words, the idea is to model the increase and the decrease in premiums for insureds who do or do not file claims. We applied our approach to a sample of data from a major insurance company in Canada. Data fit and predictability were analyzed. We showed that the studied models are exciting alternatives to consider from a practical point of view, and that predictive ratemaking models can address some important practical considerations.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2024-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141147997","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Risk analysis of a multivariate aggregate loss model with dependence","authors":"Dechen Gao, Jiandong Ren","doi":"10.1017/s1748499524000137","DOIUrl":"https://doi.org/10.1017/s1748499524000137","url":null,"abstract":"<p>This paper studies a hierarchical risk model where an accident can cause a combination of different types of claims, whose sizes could be dependent. In addition, the frequencies of accidents that cause the different combinations of claims are dependent. We first derive formulas for computing risk measures, such as the Tail Conditional Expectation and Tail Variance of the aggregate losses for a portfolio of businesses. Then, we present formulas for performing the associated capital allocation to different types of claims in the portfolio. The main tool we used is the moment (or size-biased) transform of the multivariate distributions.</p>","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2024-05-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140930889","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Package CovRegpy: Regularized covariance regression and forecasting in Python","authors":"Cole van Jaarsveldt, Gareth W. Peters, Matthew Ames, Mike Chantler","doi":"10.1017/s1748499524000101","DOIUrl":"https://doi.org/10.1017/s1748499524000101","url":null,"abstract":"This paper will outline the functionality available in the <jats:sans-serif>CovRegpy</jats:sans-serif> package which was written for actuarial practitioners, wealth managers, fund managers, and portfolio analysts in the language of <jats:monospace>Python 3.11</jats:monospace>. The objective is to develop a new class of covariance regression factor models for covariance forecasting, along with a library of portfolio allocation tools that integrate with this new covariance forecasting framework. The novelty is in two stages: the type of covariance regression model and factor extractions used to construct the covariates used in the covariance regression, along with a powerful portfolio allocation framework for dynamic multi-period asset investment management. The major contributions of package <jats:sans-serif>CovRegpy</jats:sans-serif> can be found on the GitHub repository for this library in the scripts: <jats:monospace>CovRegpy.py</jats:monospace>, <jats:monospace>CovRegpy_DCC.py</jats:monospace>, <jats:monospace>CovRegpy_RPP.py</jats:monospace>, <jats:monospace>CovRegpy_SSA.py</jats:monospace>, <jats:monospace>CovRegpy_SSD.py</jats:monospace>, and <jats:monospace>CovRegpy_X11.py</jats:monospace>. These six scripts contain implementations of software features including multivariate covariance time series models based on the regularized covariance regression (RCR) framework, dynamic conditional correlation (DCC) framework, risk premia parity (RPP) weighting functions, singular spectrum analysis (SSA), singular spectrum decomposition (SSD), and X11 decomposition framework, respectively. These techniques can be used sequentially or independently with other techniques to extract implicit factors to use them as covariates in the RCR framework to forecast covariance and correlation structures and finally apply portfolio weighting strategies based on the portfolio risk measures based on forecasted covariance assumptions. Explicit financial factors can be used in the covariance regression framework, implicit factors can be used in the traditional explicit market factor setting, and RPP techniques with long/short equity weighting strategies can be used in traditional covariance assumption frameworks. We examine, herein, two real-world case studies for actuarial practitioners. The first of these is a modification (demonstrating the regularization of covariance regression) of the original example from Hoff &amp; Niu ((2012). <jats:italic>Statistica Sinica</jats:italic>, 22(2), 729–753) which modeled the covariance and correlative relationship that exists between forced expiratory volume (FEV) and age and FEV and height. We examine this within the context of making probabilistic predictions about mortality rates in patients with chronic obstructive pulmonary disease. The second case study is a more complete example using this package wherein we present a funded and unfunded UK pension example. The decomposition algorithm isolates high-, mid-, and low-frequen","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2024-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140930684","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"DivFolio: a Shiny application for portfolio divestment in green finance wealth management","authors":"Pasin Marupanthorn, Gareth W. Peters, Eric D. Ofosu-Hene, Christina S. Nikitopoulos, Kylie-Anne Richards","doi":"10.1017/s1748499524000046","DOIUrl":"https://doi.org/10.1017/s1748499524000046","url":null,"abstract":"This paper introduces <jats:italic>DivFolio</jats:italic>, a multiperiod portfolio selection and analytic software application that incorporates automated and user-determined divestment practices accommodating Environmental Social Governance (ESG) and portfolio carbon footprint considerations. This freely available portfolio analytics software tool is written in R with a GUI interface developed as an R Shiny application for ease of user experience. Users can utilize this software to dynamically assess the performance of asset selections from global equity, exchange-traded funds, exchange-traded notes, and depositary receipts markets over multiple time periods. This assessment is based on the impact of ESG investment and fossil-fuel divestment practices on portfolio behavior in terms of risk, return, stability, diversification, and climate mitigation credentials of associated investment decisions. We highlight two applications of <jats:italic>DivFolio</jats:italic>. The first revolves around using sector scanning to divest from a specialized portfolio featuring constituents of the FTSE 100. The second, rooted in actuarial considerations, focuses on divestment strategies informed by environmental risk assessments for mixed pension portfolios in the US and UK.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2024-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140930888","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Valuation of guaranteed minimum accumulation benefits (GMABs) with physics-inspired neural networks","authors":"Donatien Hainaut","doi":"10.1017/s1748499524000095","DOIUrl":"https://doi.org/10.1017/s1748499524000095","url":null,"abstract":"Guaranteed minimum accumulation benefits (GMABs) are retirement savings vehicles that protect the policyholder against downside market risk. This article proposes a valuation method for these contracts based on physics-inspired neural networks (PINNs), in the presence of multiple financial and biometric risk factors. A PINN integrates principles from physics into its learning process to enhance its efficiency in solving complex problems. In this article, the driving principle is the Feynman–Kac (FK) equation, which is a partial differential equation (PDE) governing the GMAB price in an arbitrage-free market. In our context, the FK PDE depends on multiple variables and is difficult to solve using classical finite difference approximations. In comparison, PINNs constitute an efficient alternative that can evaluate GMABs with various specifications without the need for retraining. To illustrate this, we consider a market with four risk factors. We first derive a closed-form expression for the GMAB that serves as a benchmark for the PINN. Next, we propose a scaled version of the FK equation that we solve using a PINN. Pricing errors are analyzed in a numerical illustration.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2024-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140930680","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Genetic testing and actuarial science – ERRATUM","authors":"A. Macdonald","doi":"10.1017/s1748499524000125","DOIUrl":"https://doi.org/10.1017/s1748499524000125","url":null,"abstract":"","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2024-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140985126","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}